I do the same thing for the same reasons, except that I never use a Market Order.

The Market Order Problem

When you send a market order to your broker, you are saying "I want to by X number of shares at any price". The problem is that the price you receive will not be the best price around. Your broker likely receives money to send the order through firms that direct the orders to affiliated market makers who open first but have wide spreads ("payment for order flow" aka "customer priority").

The Opening Problem

The open is the time that securities are first available for trading.

It is also the moment that the exchange may have started running new software... which may or may not have problems.

As market makers don't know which way the market is going to go, and the risk of technical problems, they often start off with wide spreads (a larger difference between the bid and ask price) and gradually narrow their spreads.

As a result, the first price of the day may be from a market maker quoting at the maximum legal quote width. As a result, you are less likely to get the best price.

The Closing Problem

Some instruments are hedged using other securities. For example, options are often hedged with underlying stock, and ETFs may be hedged with the constituent components. If the instrument that is going to be used as a hedge is going to close, then if one was selling an option or ETF that would need to be hedged, it wouldn't make sense to continue offering it all the way to the market close, as if one did a trade, there wouldn't be time to hedge it. As a result, market makers tend to widen their quotes or cease quoting prior to the close.

The Closing Auction

There are however some liquidity mechanisms, such as the "Closing Auction" that occurs on primary markets. As a lot of mutual funds have to buy and sell securities based on the closing price of a security, and option market makers have to worry about being assigned if the security is within a particular price range, there is a fair amount of liquidity in the closing auction. If you can get your order in for the closing auction (depending on the order types your broker provides), that may give you the opportunity to buy or sell at the official closing price. The close can be subject to some sudden swings as day trader's intra-day margin finishes and they have to close out positions. I would still recommend that even if you submit an order to the closing auction that the order still be a limit order.

The Limit Order

The Limit Order is your friend. Set the price to one that you think is reasonable. If you are really keen to have your trade go off, increase the price of your limit order (that is still better than a market order). If you can be patient, use a "good-til-cancelled" order type - your order can sit in the book for a number of days - sometimes up to a year, depending on your broker.

If you don't need to open the entire position straight away, you can use a "scale" - a stack of limit orders at different prices.

If your broker charges "per trade" rather than "per share", change to one that does, or factor in the commissions you will pay when you plan your trade.